TESTING HYPOTHESES

Tamanna Howlader
Institute of Statistical Research and Training
University of Dhaka
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)

In the previous examples, the distribution of the test statistic under H0

was continuous. What happens if the distribution is discrete? One
applies Neyman Pearson lemma but employs randomization

What is randomization?
Recall:
A test function is defined as:

We may generalize the concept of a test function to allow to

take on any value in the interval [0,1]. This is done by using some
Neyman Pearson lemma (contd)

independent randomization device to draw a Bernoulli random

number W which takes value 1 with probability and 0 otherwise.
We then reject H0 if and only if W=1. Thus may be interpreted
to be the ‘probability that H0 is rejected when
 Neyman Pearson lemma (contd)

The point of this example is: there is no test, based on the value of X
alone, which achieves size exactly 0.05. Therefore, if we want to
construct a theory of hypothesis tests of a given size , we have to
allow the possibility of randomized tests, regardless of whether we
would actually want to use such a test in a practical problem.

So, if the X’s are discrete, Neyman-Pearson could be restated as

follows.
 Neyman Pearson lemma (contd)

Suppose a test function has the form

Whenever the constant is so determined that

Any test satisfying these conditions is an MP size α test
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)

How does one use this test in practice?

Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)
Neyman Pearson lemma (contd)

NOTE: In the statement of the Neyman-Pearson Lemma we

assumed that was a real-valued parameter and the common
pdf or pmf was indexed by . . This assumption is not necessary.
It is essential to have a known and unique likelihood function
under both H0 and H1 .
Neyman Pearson lemma (contd)

The MP test will have the following form

The test can be rewritten as

The test must have the size α that we require as

Neyman Pearson lemma (contd)

The MP test will have the following form:

We want to determine the points for which is

large
Let us define a new function
To verify that g(y) is increasing in y, we consider the following
function instead
Neyman Pearson lemma (contd)

Note that
That is h(y) is increasing in y so that g(y) is increasing in y too
since log operation is monotonically increasing
Hence large values of would correspond to large
values of or equivalently large values of
Thus the MP test would have the simple form:

The test must also have size α, that is :

so that where stands for the 100(α/2) % point of

the standard normal distribution
For example if α = 0.05, then so that :
Neyman Pearson lemma (contd)

The power is calculated as:

Since Cauchy (0,1) pdf is symmetric around x=0

Hence the test’s power is given by

with

H.W.: Review examples 8.3.11 and 8.3.12 from text book

Probability and Statistical Inference
One-sided composite alternative hypothesis

Recall: UMP test

Suppose we have a simple null but the alternative
hypothesis is composite (say)
A test with its power function would be called UMP level α
provided that (i) and (ii) is maximized at every
point θ satisfying H1 .
UMP test via NPL
UMP test via NPL
UMP test via NPL
UMP test via NPL
Monotone likelihood ratio property
The MLR property for a family of pdf or pmf is exploited to derive
the UMP level α tests for one-sided null against one-side
alternative

Suppose are iid with a common distribution

and let
Monotone likelihood ratio property
Monotone likelihood ratio property
Exponential family and MLR property

Some family of distributions may not enjoy MLR property

UMP test via MLR property
Examples

Remark :
Examples

where
Examples

Exercise: Verify that the pdf of T(x) has the MLR increasing property
Hint: Show that the pdf of T(x) is
Examples
Examples
Simple null versus two-sided alternative
 Simple null versus two-sided alternative

Recall:
Simple null versus two-sided alternative
 Simple null versus two-sided alternative

In the situation where we have two-sided hypotheses or two-

sided tests we cannot in general expect to find a UMP test,
even for nice families such as the monotone likelihood ratio and
exponential family models, etc.
The reason is, if we construct a Neyman Pearson test of say
dfdfdfdf against for some the test takes quite
a different form when from when We simply
cannot expect one test to be most powerful simultaneously in
both cases.
Simple null versus two-sided alternative
Unbiased and UMP unbiased tests
Unbiased and UMP unbiased tests
Assignment #1

Answer the following questions from exercises in section 8.6 of

the text Probability and Statistical Inference by Mukhopadhay

Question 1: Problem 8.2.1

Question 2: Problem 8.2.5
Question 3: Problem 8.3.1
Question 4: Problem 8.3.2
Question 5: Problem 8.3.8

Due date: one week from today

Thank You